In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...

We present a stochastic model for the energy loss of low-energy electrons (100 eV) in water in the liquid phase. More precisely, we treat the electrons as independent particles and are thus able to model the time evolution of the kinetic energy of a single electron as a so-called pure jump...